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Flirting with Models

Markets and Investing

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Location:

United States

Description:

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Twitter:

@choffstein

Language:

English

Contact:

6175319773


Episodes

David Sun - Expectancy Hacking (S5E5)

6/27/2022
Today I speak with David Sun, a retail trader who started his own hedge fund. Coming from a non-traditional background, David takes a non-traditional approach in his investment mandates. Focused on selling options to capture the volatility risk premium, David believes that markets are ultimately efficient and therefore foregoes using any sort of active signal. Instead, he focuses on explicitly controlling his win size relative to his loss size, and then choosing a strategy with a win rate...

Duration:00:49:57

Aneet Chachra - Surfing Flow for Fun and Profit (S5E4)

6/20/2022
In this episode I talk with Aneet Chachra, fund manager at Janus Henderson. In his role, Aneet runs flow-driven strategies. These are strategies that seek to find an edge in market events where trading volume creates a predictable pressure on price, such as index additions or deletions, corporate buybacks or issuance, or even the rebalancing of target date funds. Our conversation is wide ranging, from the basics of how Aneet categorizes these types of trades, to views on how changing market...

Duration:01:01:43

Moritz Seibert & Moritz Heiden - From CTA to web3 (S5E3)

6/13/2022
In this episode, I speak with the Twoquants: Moritz Seibert and Moritz Heiden. There are really two halves to this episode. In the first, we discuss trend following strategies at length. We cover the usual topics of signals, speeds, and portfolio construction before diving into some niche views, such as synthetic assets, spread trades, and alternative roll schedules. In the second half, we pivot to discuss crypto markets, as the Moritzes now serve as CIO and CTO for the Exponential Age...

Duration:01:09:54

LightSpringFox - Crypto Market Making (S5E2)

6/6/2022
In a first for Flirting with Models, my guest this episode is anonymous, going only by the handle LightSpringFox on Twitter. Mr. Fox is a quantitative trader who works in crypto market making at MGNR. Mr. Fox did not begin his career in crypto, nor even in market making. Rather, his background is in traditional equity factor investing, and so we spend a good deal of comparing and contrasting the low- and high-frequency domains. We also discuss the nature of market making edges, the unique...

Duration:00:47:37

Michael Green - The Active Impact of Passive Investing (S5E1)

5/30/2022
In this episode I speak with Michael Green, Chief Strategist as Simplify ETFs. In a first for the Flirting with Models podcast, we recorded this episode live at the ETF Exchange in Miami in early April 2022. Given Michael’s eclectic background, our conversation is wide ranging. He has traded everything from small-cap value to commodities to housing derivatives to long volatility, and so we try to find the common elements and themes across his career. One that sticks out is his quote that...

Duration:01:03:15

David Berns - How do you build a portfolio for a human being? (S4E16)

8/16/2021
In this episode I speak with David Berns, co-founder and CIO of Simplify ETFs and author of the book Modern Asset Allocation for Wealth Management. Our conversation centers around the idea of what it means to build a portfolio for a human being. This concept arises both technically and philosophically in David’s work, where he emphasizes the importance of higher return moments in portfolio optimization, but goes about achieving this end through more holistic risk preference analysis. David...

Duration:00:45:56

Russell Korgaonkar - Optimizing the Research Process (S4E15)

8/9/2021
Today I am speaking with Russell Korgaonkar, CIO of Man AHL. In his role, Russell oversees a large research organization and so we spend a large part of our conversation talking about research management. Russell provides his thoughts on topics such as determining which projects to take on, quantifying investments in technology, data, and people, how to avoid group think, and how to incentivize both researchers and reviewers. There is tremendous organizational alpha to be gleaned here. In...

Duration:00:55:27

Andrew Lapthorne - Thematic Baskets and Strong Balance Sheets (S4E13)

7/26/2021
Andrew Lapthorne is the Head of Quantitative Equity Research at SocGen, a role he’s held for nearly 14 years. Given the breadth of topics covered by bank research, it should be no surprise that this conversation takes some wide swings as well. We discuss everything from thematic baskets to style premia and machine learning to ESG. One of my favorite parts of the conversation is when Andrew discusses his research into strong balance sheet names in U.S. small-cap equities. For all the depth...

Duration:00:59:43

Bryn Solomon - Exploiting Fat Finger Errors in Cryptopunks (S4E14)

7/21/2021
Bryn Solomon is the co-founder and CEO of MGNR, a quantitative cryptocurrency asset manager with arms in market making, discretionary trading, DeFi yield farming, and venture capital. Our conversation touches on all these arms, exploring their key differences from traditional markets, sources of edge and opportunity, and the risks unique to the cryptocurrency markets. A recurring theme within the conversation is how the pace of innovation in cryptocurrency presents both opportunities and...

Duration:01:00:39

Greg Obenshain - Quantitative Credit (S4E12)

7/19/2021
In this episode I chat with Greg Obenshain, Partner and Director of Credit at Verdad Capital. Prior to joining Verdad, Greg worked as the high-yield portfolio manager at Apollo Global Management and Stone Tower Capital. Despite his background as a fundamental analyst, Greg is a quant convert. His ideas are still grounded in a strong fundamental understanding of what it means to invest in credit, but in a sector where even just acquiring data may be an edge, he lets the data speak for...

Duration:00:52:56

Roxton McNeal - Liability-Driven Investing (S4E11)

7/12/2021
In this episode I speak with Roxton McNeal, Head of Multi Asset Investment Strategy & Allocation at the UPS Investment Trust. Before landing at UPS, Roxton’s career took him through the world of CTAs, developing hedge models for bonny light oil, and working in asset/liability management at General Motors. Each of these roles likely deserves its own podcast, but I do my best to pull a nugget of wisdom from each experience. Where we spend the bulk of the conversation is in Roxton’s current...

Duration:01:01:26

Vivek Viswanathan - Quant Equity in China (S4E10)

7/5/2021
Vivek Viswanathan is the Head of Research at Rayliant Global, a quantitative asset manager focused on generating alpha from investing in China and other inefficient emerging markets. Our conversation circles around three primary topics. The first is the features that make China a particularly attractive market for quantitative investing and some of the challenges that accompany it. The second is Vish’s transition from a factor-based perspective to an unconstrained, characteristic-driven...

Duration:01:11:09

Tobias Carlisle - Realism Over Idealism in Value (S4E9)

6/28/2021
My guest this episode is Tobias Carlisle, author, podcast host, and founder of Acquirers Funds. Toby joined me in Season 1 where we discussed his background and overall investment philosophy. In this episode, we dive right into the well-documented woes of value investing. Rather than rehash the usual narratives, however, I wanted to get Toby’s views as to how this environment is unique. We spend time discussing relative versus absolute cheapness, the potentially arbitrary constraints of...

Duration:01:17:29

Sam Trabucco - Perpetual Swaps, Liquidation Cascades, and the USD-BTC-YEN Triangle Trade (S4E8)

6/20/2021
In this episode I speak with Sam Trabucco from Alameda Research. Alameda manages over $100mm in digital assets and trades between $600mm and $1.5bn per day. We begin our conversation with a discussion around the features that distinguish crypto markets from traditional markets. What becomes a recurring theme in the conversation is how decentralization and fragmentation present both an opportunity and a challenge. Sam provides some color into the easiest and hardest alpha he’s earned,...

Duration:00:55:31

Angus Cameron - Trade Structuring: Systematizing a Hidden Edge (S4E6)

6/7/2021
Angus Cameron is the Founder and CIO of Liminal Capital, a machine-learning focused investment manager. But Angus does not come to markets with a computer science PhD. Rather, his career arc took him through the prop desks and buyside of Asia, trading global fixed income, FX, equity markets, and arbitrage strategies on a discretionary basis. A machine-learning driven approach is a new endeavor, but one informed by the wisdom of experience. Angus would consider himself a quantitative...

Duration:01:15:36

Guillermo Roditi Dominguez - Path or Destination, Not Both (S4E5)

5/31/2021
In this episode I speak with Guillermo Roditi Dominguez, managing director at New River Investments. This was one of the more unique and wide-ranging conversations I have had on the podcast to date. We begin by discussing Guillermo’s approach to portfolio construction, which is heavily focused on the idea of under-writing risk. How he goes about achieving this, though, takes us from adjusted valuation measures to the positioning of large, systematic players and even to the importance of...

Duration:01:04:41

Tina Lindstrom - Commodity Volatility (S4E4)

5/24/2021
Tina Lindstrom is a Partner at First NY, where she manages an oil volatility portfolio. She began her career at Susquehanna and eventually worked her way up to managing both the high cap equity index group and the commodity volatility group. This gives her the unique perspective to be able to compare and contrast how these two markets operate. Tina explains what makes commodity markets unique, how the structure of markets has changed over time, how relative value trades might emerge, and...

Duration:00:37:31

David Fauchier - Paranoid Crypto Cowboys (S4E3)

5/17/2021
In this episode I chat with David Fauchier of Nickel Digital Asset Management. At Nickel, David manages the Factors Fund, a multi-strategy, multi-manager fund for cryptocurrencies. We leave the philosophical discussions about crypto aside to dive into the features of this universe that make it rife with opportunity. What struck me most about this conversation was not just how much crypto markets have evolved in the past several years, but how fragmented they still remain. Different...

Duration:01:05:26

Darrin Johnson - Independently Shorting Volatility (S4E2)

5/10/2021
Darrin Johnson is the first independent trader I’ve interviewed for this show and with that distinction he brings an entirely new perspective. After learning about how Darrin began his career as an independent trader, we get into the bulk of the conversation that circles around his process of shorting volatility in the S&P 500 complex, including options on futures, index options, VIX futures, and VIX ETPs. Darrin provides insights into how he plays certain tenors over others, why knowing...

Duration:01:10:41

Cem Karsan - The Market Voting Machine (S4E1)

5/3/2021
My guest this episode is Cem Karsan, Founder and Senior Managing Partner of Aegea Capital Management. Cem began his career in the pits, and so we begin our conversation with a discussion by comparing and contrasting today’s market versus days gone by. And, perhaps more importantly, the wisdom gained from that era. It was in the pits that Cem began to understand and develop his intuition for markets and what would become the colorful cast of characters he uses to describe what’s driving...

Duration:00:44:50